Option Pricing in a Jump-Diffusion Model with Regime Switching

DOI10.2143/AST.39.2.2044646zbMath1180.91298OpenAlexW1980768678MaRDI QIDQ3653509

Fei Lung Yuen, Hailiang Yang

Publication date: 22 December 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.39.2.2044646

zbMATH Keywords

option pricingregime switchingjump-diffusion modeltrinomial tree methodprice of regime switching risk

Mathematics Subject Classification ID

Related Items (24)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing and Esscher transform under regime switching
• Lean trees -- a general approach for improving performance of lattice models for option pricing
• Explicit solutions to European options in a regime-switching economy
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Multinomial Approximating Models for Options with k State Variables
• An explicit finite difference approach to the pricing of barrier options
• Option pricing: A simplified approach
• A simple approach for pricing equity options with Markov switching state variables

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